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Effect of S&P500's return on emerging markets: Turkish experience

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  • Hakan Berument
  • Onur Ince

Abstract

This study assesses the effect of S&P500 return on the Istanbul Stock Exchange within a dynamic framework. In order to capture the effect, a block recursive VAR model is built, allowing that S&P500 affects the ISE returns with its current and lag values but not vice versa. The estimates from daily data suggest that returns on S&P500 affect ISE return positively up to four days.

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Bibliographic Info

Article provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.

Volume (Year): 1 (2005)
Issue (Month): 1 (January)
Pages: 59-64

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Handle: RePEc:taf:apfelt:v:1:y:2005:i:1:p:59-64

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Cited by:
  1. Gulin Vardar & Gokce Tunc & Berna Aydogan, 2012. "Long-Run and Short-Run Dynamics among the Sectoral Stock Indices: Evidence from Turkey," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 2(2), pages 347-357, June.
  2. Ozdemir, Zeynel Abidin & Olgun, Hasan & Saracoglu, Bedriye, 2009. "Dynamic linkages between the center and periphery in international stock markets," Research in International Business and Finance, Elsevier, vol. 23(1), pages 46-53, January.
  3. Olgun, Hasan & Ozdemir, Zeynel Abidin, 2008. "Linkages between the center and periphery stock prices: Evidence from the vector ARFIMA model," Economic Modelling, Elsevier, vol. 25(3), pages 512-519, May.
  4. Ozdemir, Zeynel Abidin, 2009. "Linkages between international stock markets: A multivariate long-memory approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(12), pages 2461-2468.

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